When you right-click your project entry in the Project Manager, you can select to add existing files to your project. That is what “added to the project” stands for.
Alternatively, when you are deploying your application using the Deploy to Mobile wizard, there is a step which exports your files (it generates a folder that is later to be turned into an .apk file). Right after the exporting step, you can manually add files to the generated folder so that those files are included in your application.